1
-
5
of
5
results (0.5 seconds)
Sort By:
-
Stochastic Analysis of the Interaction Between Investment and Insurance Risks. Fellowship Credit Research Paper
insurance policies is studied in a stochastic mortality and interest environment. The first two moments ... strategy;Lapse rates=Lapses;Life insurance;Mortality rates=Mortality tables=Death rates ;Yield curve=Term structure; ...- Authors: Gary Parker
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Life Insurance>Investment strategy - Life Insurance
-
Dynamic Spanning of Contingent Claims
risk-free asset, denoted B, and n stocks, denoted S 1 . . . . . Sn. An investor may take positions ... changes by ~(t)lB(t+dt) - B(t)l + Ol(t)lS~(t+dt) - S~(t)l + , • + 0n(t)lS,~(t+dt) - Sn(t)]. If we add ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
-
Capital Allocation by Possibilistic Linear Programming Approach
acknowledged 463 1. Models Consider N asset classes, S~, $2 ...... SN. the problem is to determine allocation ... portfolio is N ,~' ?,' ~ ~ ~ ;~~~'112~ ~ (~ t~u ¢ ] t-] g [ Allocation weights-t l, -~e . . .- Authors: Lijia Guo, Zhen Huang
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
-
Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple
associated compound distributions with Maple Rohana S. Ambagaspit iya Department of Mathematics and Statistics ... interested. 358 2.1 Po isson Lagrang ian d i s t r ibut ions These distributions are derived by ...- Authors: Rohana Ambagaspitiya
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods>Stochastic models
-
On Expert Use in Portfolio Management
(Qu6bec) Canada G1K 7P4 MICHEL GENDRON, Ph .D. , A. S. A. Directeur de la chaire en assurance D@artement ... tlumanities Research Council of Canada, as woll ~s by the Fonds pour la formation de chercheurs et l'aide ...- Authors: Michel Gendron, Christian Genest
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Portfolio management - Finance & Investments